'localhost' is the typical value. If you put the wrong value in there, like your domain, then the installation will crash before it has a chance to create the database.php file in the 'application/config/' folder mentioned above.

I think what is very useful, if you can, is to setup Phpmyadmin (or see if your ISP has a database interface).

There are several things that can be wrong. For example, sometimes with mySQL the admin can accidentally create an account with % as the server versus localhost, or with 127.0.0.1. The only way to be 100% sure is to either create the database and/or database account yourself, or at the very least login yourself with those credentials.